The "hybrid" allows for Specialist over-rides for openings and closings. We find many differences between ECN pricing and actual OPG prices onNYSE.
Don
Opening Only's 2010
- Thread starter Don Bright
- Start date
The "hybrid" allows for Specialist over-rides for openings and closings. We find many differences between ECN pricing and actual OPG prices onNYSE.
Don
More pre-market review, checking pre-market volumes and pricing. Just common sense stuff pretty much. News items seem to have more impact these days, some good, some not so good of course.
Don
Not really... I still take half the shares under 10 cents *5 or 6* - and just tape read the other half.
Don
Hi total_keops,
is there a way to limit the amount of filled orders after a predefined number of orders has been filled by having the script cancelling the remaining unfilled orders.
I'm asking not specially regarding the OPG's, but more if someone uses an approach with normal resting LMT orders.
For example, I have a script running that has 100 LMT orders active. Once lets say 10 orders have been filled I want it to cancel the rest of the active orders completely.
Unfortunately IB doesnt offer that kind of order management, which leaves me with using their excel application.
Thanks in advance!
Saico
Saico, yes it is possible.
I used to do it manually by having the spacebar of my keyboard as a hotkey for the "Cancell All Orders" function of TWS. So I would hit it manually if I felt something was wrong and stop the bleeding.
If you want to program it in VBA it is possible but you have to understand what you are doing and the limitations of Excel. I got fuc3ed once doing it with Excel so it is why I was doing it manually afterward.
Basically, I Excel freezes you are cought pants down. If you want to leave the Excel unattended think again, it is not robust enough IMO.
The way you could do it having a cell that sums the number of filled orders and then having a condition that will cancel all remaining orders if you trigger is hit.
Your initial orders needs to be sent by Excel in the first place.
You would have the cell that sums in the conditional order Excel sheet . Then in VBA code of this sheet in the Calculate_Worksheet sub you have a if condition that looks if the cell is above your trigger. If so, get in the if and execute a loop on all orders and cancel each one by one with the sub cancelOrder that's defined in the Module OrderFunctions.
There is a high probability that this thing will freeze your Excel so do some testing before going live. To prevent this it is possible to check this condition before doing the other things that are in the Calculate_Worksheet and do then only of there are less than your trigger.
Also, keep in mind that there is a HUGE delay between the time Excel calculates that there are too many fills and your cancel orders getting to the Exchange. Your orders are live in the market that operates at the speed of light and you cancel with a really slow program that has to go through the broker... So if you want to do this to prevent your orders being filled in the case of a catastrophic event (911 type of thing ) then Excel is useless since it wont react fast enough and you are left naked in the middle of the street.
I used to do it manually by having the spacebar of my keyboard as a hotkey for the "Cancell All Orders" function of TWS. So I would hit it manually if I felt something was wrong and stop the bleeding.
If you want to program it in VBA it is possible but you have to understand what you are doing and the limitations of Excel. I got fuc3ed once doing it with Excel so it is why I was doing it manually afterward.
Basically, I Excel freezes you are cought pants down. If you want to leave the Excel unattended think again, it is not robust enough IMO.
The way you could do it having a cell that sums the number of filled orders and then having a condition that will cancel all remaining orders if you trigger is hit.
Your initial orders needs to be sent by Excel in the first place.
You would have the cell that sums in the conditional order Excel sheet . Then in VBA code of this sheet in the Calculate_Worksheet sub you have a if condition that looks if the cell is above your trigger. If so, get in the if and execute a loop on all orders and cancel each one by one with the sub cancelOrder that's defined in the Module OrderFunctions.
There is a high probability that this thing will freeze your Excel so do some testing before going live. To prevent this it is possible to check this condition before doing the other things that are in the Calculate_Worksheet and do then only of there are less than your trigger.
Also, keep in mind that there is a HUGE delay between the time Excel calculates that there are too many fills and your cancel orders getting to the Exchange. Your orders are live in the market that operates at the speed of light and you cancel with a really slow program that has to go through the broker... So if you want to do this to prevent your orders being filled in the case of a catastrophic event (911 type of thing ) then Excel is useless since it wont react fast enough and you are left naked in the middle of the street.
And just for fun...
dont forget that you always have a stop in the market... the margin call.
Your broker will not allow new positions if you don't have enough margin. So if 10 stocks is all that you can buy with your margin then the party will stop there.
But not enough margin will not allow you to submit a lot of orders.